C5 - Econometric Modeling - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T10:00:08+00:00Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions
https://www.bankofcanada.ca/2014/06/discussion-paper-2014-3/
In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting short-term real GDP growth.2014-06-18T13:06:09+00:00enForecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions2014-06-18Econometric and statistical methodsInternational topicsDiscussion Paper 2014-3https://www.bankofcanada.ca/wp-content/uploads/2014/06/dp2014-3.pdfForecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS RegressionsMaxime LeboeufLouis MorelJune 2014CC5C50C53EE3E37E4E47Consumer Attitudes and the Epidemiology of Inflation Expectations
https://www.bankofcanada.ca/2014/06/working-paper-2014-28/
This paper studies the formation of consumers’ inflation expectations using micro-level data from the Michigan Survey. It shows that beyond the well-established socio-economic determinants of inflation expectations such as gender, income or education, other characteristics such as the households’ financial situation and their purchasing attitudes also matter.2014-06-18T11:51:15+00:00enConsumer Attitudes and the Epidemiology of Inflation Expectations2014-06-18Inflation and pricesWorking Paper 2014-28https://www.bankofcanada.ca/wp-content/uploads/2014/06/wp2014-28.pdfConsumer Attitudes and the Epidemiology of Inflation ExpectationsMichael EhrmannDamjan PfajfarEmiliano SantoroJune 2014CC5C53DD8D84EE3E31Improving Overnight Loan Identification in Payments Systems
https://www.bankofcanada.ca/2014/06/working-paper-2014-25/
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.2014-06-18T11:43:53+00:00enImproving Overnight Loan Identification in Payments Systems2014-06-18Econometric and statistical methodsFinancial marketsInterest ratesPayment clearing and settlement systemsWorking Paper 2014-25https://www.bankofcanada.ca/wp-content/uploads/2014/06/wp2014-25.pdfImproving Overnight Loan Identification in Payments SystemsMark RempelJune 2014CC3C38C5C53EE4E42E44GG1G10